Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market

Monira Essa Aloud

Makale detayları

Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market

Yazarlar:

Monira Essa Aloud

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2016 Vol.6 Issue 1, pp.55-64

Belge Tipi:

Makale

Yayın Tarihi:

2/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000813290

Sıklık:

İki Aylık

eISSN:

2146-4138

Özet:

 

We introduce a set of time series analysis indicators under an event based framework of directional changes (DC) and overshoots. Our aim
 is to map continuous financial market price data into the so-called DC Framework - A state based discretization of basically dissected price
 time series. The DC framework analysis relied on understanding the price time series as an event-based process, as an alternative of focusing
 on their stochastic character. Defining a scheme for state reduction of DC Framework, we show that it has a dependable hierarchical structure
 that permits for analysis of financial data. We show empirical examples within the Saudi Stock Market. The new DC indicators represent the
 foundation of a completely new generation of financial tools for studying volatility, risk measurement, and building advanced forecasting and
 automated trading models.

Makale detayları

Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market

Yazarlar: Monira Essa Aloud

Yayıncı: İlhan ÖZTÜRK

Dergi: International Journal of Economics and Financial Issues 2016 Vol.6 Issue 1, pp.55-64

Belge Tipi: Makale

Yayın Tarihi: 2/2016

Belge Dili: Türkçe

Document ID (Org No.): 2000813290

Sıklık: İki Aylık

eISSN: 2146-4138

Sayı

Yazarlar:

Monira Essa Aloud

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2016 Vol.6 Issue 1, pp.55-64

Belge Tipi:

Makale

Yayın Tarihi:

2/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000813290

Sıklık:

İki Aylık

eISSN:

2146-4138